Article1993

A Semiautoregression Approach to the Arbitrage Pricing Theory

25 citations0/0 files storedThe Journal of Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

ABSTRACT This paper developes a semiautoregression (SAR) approach to estimate factors of the arbitrage pricing theory (APT) that has the advantage of providing a simple asymptotic variance‐covariance matrix for the factor estimates, which makes it easy to adjust for measurement errors. Using the extracted factors, I confirm the finding that the APT describes asset returns slightly better than the CAPM, although there is still some mispricing in the APT model. I find that not only are the factors “priced” by the market, but the factor premiums move over time in relation to business cycle variables.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 25 citations exist upstream.

References

1986Economic Forces and the Stock Market 1988Estimating Vector Autoregressions with Panel Data 1989Business conditions and expected returns on stocks and bonds 1988Dividend yields and expected stock returns 1990Evidence of Predictable Behavior of Security Returns 1985Stock Returns and the Term Structure 1991The Variation of Economic Risk Premiums 1986Predicting returns in the stock and bond markets

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.